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sabr.hpp
Langue: en
Version: 159638 (fedora - 05/07/09)
Section: 3 (Bibliothèques de fonctions)
NAME
ql/termstructures/volatility/sabr.hpp - SABR functions.SYNOPSIS
#include <ql/types.hpp>
Functions
Real unsafeSabrVolatility (Rate strike, Rate forward, Time expiryTime, Real alpha, Real beta, Real nu, Real rho)
Real sabrVolatility (Rate strike, Rate forward, Time expiryTime, Real alpha, Real beta, Real nu, Real rho)
void validateSabrParameters (Real alpha, Real beta, Real nu, Real rho)
Detailed Description
SABR functions.
Author
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